CRYPTO-9 INDEX AND SYSTEMIC RISK SPILLOVERS TO SOUTHEAST ASIAN STOCK MARKETS DURING 2020–2025

Abstract

This study examines the spillover of systemic risk
from the cryptocurrency market to six Southeast
Asian stock markets over the period from 2020
to 2025, with a sample of 1,966 daily
observations. Using Principal Component
Analysis (PCA), the authors construct a
composite Crypto-9 index from the nine leading
cryptocurrencies. A Time-Varying Parameter
Vector Autoregression (TVP-VAR) model is then
combined with the Diebold-Yilmaz
connectedness framework and complex network
theory to quantify systemic risk transmission
from the cryptocurrency market to the six
Southeast Asian stock markets. The empirical
results indicate that the full-sample average Total
Connectedness Index (TCI) reaches 68.01%,
reflecting a high degree of interconnectedness
across markets. The Crypto-9 index emerges as
the strongest net transmitter of risk shocks, with
a net intensity of +29.38%, whereas the PSEI
(−19.85%), the SET (−18.13%), and the JCI
(−17.10%) are identified as the three largest net
receivers, suggesting that the Philippine, Thai,
and Indonesian stock markets are the most
vulnerable to cryptocurrency fluctuations.
Building on these findings, the authors
operationalize the analytical framework into a
real-time monitoring tool developed with
Streamlit, intended to support surveillance and
early warning functions for regulatory authorities.